Credit Risk Analyst

DIVISIONAL OVERVIEW

The Chief Risk Office (CRO) mission is to protect the Bank’s capital by establishing a strong control environment for the relevant risks. To this end, the division uses four primary functions to manage all relevant issues: Strategic Risk Management (SRM), Credit Risk Management (CRM), Risk Analytics and Reporting (RAR), and Bank Operational Risk Oversight. The division also addresses critical risk areas such as business continuity and reputational risk management.

DEPARTMENTAL OVERVIEW

RAR is globally led by Jason Forrester and reports to the Chief Risk Officer. The RAR function is located across all major locations and is responsible for all market and credit risk information management, implementation of risk valuation systems, credit risk measurement and credit risk reporting, independent risk model valuation, regulatory coordination, and risk policies.

The Credit Risk – Query Resolution & Analysis team (CR-QRA) is part of RAR with a current strength of 6. The primary responsibilities of the CR-QRA team include

- Credit Risk exposure valuation related Query Resolution & Analysis for stakeholders – CRM (Credit officers, Credit control), Credit Risk Reporting, RAR (Trade analysts, Design analysts, Methodologies, Change management), RWA Management, Front office business units

- Interpreting system and business logic of our proprietary CRM tool and validating that logic conforms to business requirements

MAIN DUTIES/RESPONSIBILITIES OF THE ROLE:

The CR-QRA team in Pune is seeking to recruit an Analyst to join the growing team. Expectation of the role –

- Understand credit risk exposure valuation at a portfolio level across various business lines like Prime Brokerage, ETFO, Derivatives, FX, Repo, SLB, from a system, business and methodologies perspective

- Understand end-to-end data flow and functioning logic of our proprietary Credit Risk Management tool

- Identify and resolve in a timely manner, exposure valuation issues and the resulting impact on capital allocation, and propose tactical and strategic fixes

- Liaise with front office business, upstream data providers, trade analysts, design analysts, system controls, IT, legal and methodologies teams to remediate production issues and request strategic amendments in the data feeds, system logic, client agreements and risk valuation methodologies

- Provide indicative estimates of VaR, PE, EPE to Credit officers, RWA management and business teams, when the risk engine fails to capture exposure profiles accurately, using advanced simulation tools and models for factor based, sensitivity based (Historical simulation) and Monte Carlo (Taylor series approximation and/or Partial revaluation) risk calculators

- Provide marginal impact of trades on the portfolio risk, in the event of a new trade or a systemic change

WORK EXPERIENCE/BACKGROUND:

At least 1 year of work experience in a financial institution with good product knowledge and good understanding of Risk management tools and techniques

TECHNICAL/BUSINESS SKILLS & KNOWLEDGE:

- Strong analytical skills to identify the scope of issues and ability to provide appropriate solutions

- Good knowledge of financial products across various asset classes

- Sound understanding of life cycle of a trade and risk management concepts

- Ability to work with large volumes of data using spread sheet and Database Query tools (MS Excel and Access) SQL knowledge

If interested kindly contact the undersigned.

Tuhina Mathur
8879566952/022 - 66848517